A scientific approach to investment

About

Kelonia Capital Management is a research-driven, alternative investment firm registered in Luxembourg. We employ a rigorous, systematic investment process across various markets, asset classes and geographies.

Our sophisticated, rule-based approach to investing is not influenced by conventional market narratives, and is free from cognitive biases and emotional influences. We make investment decisions solely using scientific, quantitative methods.

Kelonia’s investment program has been designed to exploit persistent market inefficiencies, grounded in sound economic theory. Unlike many systematic managers, who rely predominantly on individual factors or investment styles, we believe that combining multiple complementary and uncorrelatedsources of return − such as momentum, carry, value and mean-reversion − produces superior results over time.

Philosophy

Focus, discipline, and a commitment to quality and transparency represent key elements of our philosophy. Kelonia’s investment approach is rooted in the idea that markets are occasionally inefficient, and that these inefficiencies can be exploited by active investment approaches. We believe true alpha-generating strategies still hold a place in investors’ portfolios, and can deliver excess returns that cannot be captured through conventional 'alternative risk premia' approaches. At Kelonia, we treat our investors as partners, and invest our own assets right beside those of our clients.

Investment Program

Kelonia invests in a broad range of liquid, exchange-traded futures markets across global equities, interest rates, currencies and commodities. Trades are generated based on a combination of momentum, carry, reversal and pattern recognition signals.

What distinguishes Kelonia’s approach to managed futures investing is our emphasis on noise filtering and alpha generation, downside risk management, and diversification across strategies and return drivers. All of our models are built to systematically adapt to changes in market conditions, and to exhibit a high degree of stability over time. Execution and risk management are entirely automated, utilising a robust IT infrastructure and in-house proprietary software.

Indexes have inherent limitations: they are uninvestable, do not incur management fees, transaction costs, or other expenses associated with an investment product. All asset classes are subject to various risks that affect their performance, and different economic periods will produce different results.

Key Features

Portfolio Diversification

Through extensive and rigorous research, we aim to deliver attractive risk-adjusted returns that are uncorrelated to traditional asset classes. Kelonia’s investment program exhibits a slightly negative correlation to the equity markets, and a moderate correlation to other managers in the global macro and managed futures space.

Absolute Returns

By combining multiple trading systems and alpha sources, we believe Kelonia is well positioned to deliver consistent returns in a broad range of market environments. Our models are self-adaptive, which enables them to dynamically adjust to new market conditions, and to re-allocate risk between strategies as the markets develop and unfold.

Tail Risk Hedging

Equity market downturns can have a profound impact on wealth creation during an investor’s lifecycle. We have designed our investment program to yield positive returns during normal market conditions, while at the same time offering protection against cyclical market gyrations and extreme events that can wipe out several years of returns.